Ben Ghorbel, M Mohamed Amin (2024) Calibration of the local volatility model within an economic scenario generator PFE - Project Graduation, ENSTA.

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Abstract

Insurance companies and banks use economic scenarios to project the future value of their assets and liabilities, taking into account various risk factors (interest rates, equities, real estate, etc.). New regulations require the use of random scenarios, replacing deterministic approaches. As part of this final year project, we contributed to the development of the economic scenario generation library. The local volatility model was implemented while calibrating the implicit volatility surface to improve the accuracy of simulations and their alignment with market prices.

Item Type:Thesis (PFE - Project Graduation)
Uncontrolled Keywords:local volatility model, Dupire, stochastic scenarios, economic scenario generation, arbitrage-free calibration, implied volatility surface
Subjects:Mathematics and Applications
ID Code:10472
Deposited By:Mohamed amine BEN GHORBAL
Deposited On:22 nov. 2024 14:41
Dernière modification:22 nov. 2024 14:41

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